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This paper aims to analyse financial integration in the markets of Brazil, China, India and Russia (BRIC’s), from July 2015 to June 2020, being the sample split in pre and during the global pandemic (Covid-19). In order to carry out this analysis, different approaches were undertaken to analyse two issues, namely, whether: (i) the global pandemic has accentuated the interdependencies in the BRIC financial markets? If so, how it has influenced the efficiency of portfolio diversification. The results suggest very significant levels of integration, in the Covid period these evidences diminish the chances of portfolio diversification in the long term. In turn, the analysis of the relationship between markets, in the short term, through the impulse response functions, in a period of global pandemic, shows positive/negative movements, with statistical significance, with persistence exceeding one week. In addition, there was no immediate adjustment in prices between markets, due to the high levels of shocks identified. Regarding the implementation of efficient portfolio diversification strategies, we consider that a good option for investors would be to avoid investments in stock markets. In this sense, one suggestion could be to invest in derivatives, gold and sovereign debt markets, with the purpose of diversifying portfolios and mitigating the risk arising from the global pandemic. The authors consider that the results achieved are of interest to investors seeking opportunities in these exchanges, as well as to policy makers to undertake institutional reforms in order to increase the efficiency of stock markets and promote the sustainable growth of financial markets.

INTEGRATION IN BRIC STOCK MARKETS: AN EMPIRICAL ANALYSIS